No...you really can't hurt anything by pushing too hard with clay, but I wouldn't try getting sap off with clay. Get a good bug and tar removing solution on it first. You're just contaminating the clay that much faster with all that sap.
I really like this product:
http://www.detailersdomain.com/searc...x=0&search.y=0
NanoSkin Autoscrub. Works exactly like clay, but you use it on a DA polisher. They have a hand version too, but so much faster on a DA, especially compared to using clay. Also, clay eventually needs to be tossed and if you drop it you pretty much have to toss it. While the NanoSkin you just rinse off the pad.
Check out all the YouTube videos on it too. And if you don't have a DA you can get one at Harbor Freight tools for under $100. Not the best quality one...not one a pro would use...but good enough for someone just using it for their own car here and there.